Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0001 |
| Annualized Std Dev | 0.0716 |
| Annualized Sharpe (Rf=0%) | 0.0014 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 2992.0000 |
| NAs | 1.0000 |
| Minimum | -0.1166 |
| Quartile 1 | -0.0014 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0015 |
| Maximum | 0.1266 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0002 |
| Variance | 0.0000 |
| Stdev | 0.0045 |
| Skewness | 1.8335 |
| Kurtosis | 368.3297 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0031 |
| Gain Deviation | 0.0041 |
| Loss Deviation | 0.0040 |
| Downside Deviation (MAR=210%) | 0.0091 |
| Downside Deviation (Rf=0%) | 0.0031 |
| Downside Deviation (0%) | 0.0031 |
| Maximum Drawdown | 0.1711 |
| Historical VaR (95%) | -0.0042 |
| Historical ES (95%) | -0.0078 |
| Modified VaR (95%) | NA |
| Modified ES (95%) | NA |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2011-09-15 | 2020-03-12 | NA | -0.1711 | 2365 | 2107 | NA |
| 2009-11-06 | 2010-01-04 | 2011-08-11 | -0.0656 | 434 | 39 | 395 |
| 2009-09-14 | 2009-09-22 | 2009-11-05 | -0.0495 | 37 | 7 | 30 |
| 2009-05-19 | 2009-06-24 | 2009-09-11 | -0.0463 | 69 | 18 | 51 |
| 2009-04-13 | 2009-05-01 | 2009-05-18 | -0.0244 | 24 | 14 | 10 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2009 | -0.9 | 0.9 | -0.3 | -1.7 | -0.5 | 0.4 | -0.4 | -0.2 | 0.3 | 0.1 | -0.4 | -0.3 | -3 |
| 2010 | -0.6 | -0.2 | -0.4 | 0.3 | 0.4 | -0.1 | 0.2 | -0.3 | -0.1 | 0.1 | -1 | -0.7 | -2.4 |
| 2011 | -0.3 | 0.1 | -0.4 | 0.1 | 0.2 | -0.3 | -0.1 | 0.2 | 0.1 | 0.3 | -0.1 | -0.1 | -0.2 |
| 2012 | -0.1 | -0.2 | -0.3 | 0.1 | 0.1 | 0.2 | -0.1 | 0.1 | 0 | -0.3 | -0.1 | -0.1 | -0.6 |
| 2013 | 0.1 | 0.1 | 0.1 | -0.1 | -0.1 | 0 | -0.2 | 0.3 | -0.2 | -0.3 | -0.1 | -0.2 | -0.6 |
| 2014 | 0.1 | 0.1 | -0.6 | -0.1 | -0.1 | -0.3 | -0.1 | 0.3 | 0.6 | 0 | -0.5 | 0 | -0.6 |
| 2015 | 0.2 | 0.2 | -0.1 | -0.4 | -0.4 | -0.1 | 0.3 | 0 | 0 | 0.4 | 0 | 0.4 | 0.7 |
| 2016 | -0.2 | -0.5 | -0.4 | 0.1 | -0.3 | -0.3 | -0.3 | -0.4 | -0.4 | 0.2 | -0.5 | 0.1 | -2.8 |
| 2017 | -0.3 | -0.8 | 0.1 | -0.3 | -0.4 | -0.2 | -0.2 | -0.3 | 0 | -0.1 | -0.1 | 0 | -2.4 |
| 2018 | -0.4 | 0 | 0.4 | -0.1 | -0.6 | -0.2 | -0.5 | 0 | -0.4 | -0.2 | 0 | 0.2 | -1.8 |
| 2019 | -0.6 | -0.4 | -0.7 | -0.3 | 0.2 | -0.4 | -0.3 | 0.2 | -0.4 | -0.3 | -0.1 | -0.2 | -3.2 |
| 2020 | 0.5 | 0.4 | -0.3 | -0.6 | -0.3 | -0.3 | 0 | -0.3 | -0.3 | 0 | -0.4 | 0 | -1.5 |
| 2021 | -0.3 | 0 | 0 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -0.3 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2009-01-27 25.9 SPY 84.5 0.0102 0.0491 -0.0246 -0.0288 -0.375 -0.333 -0.270 GLD 88.4 -0.0064 0.0457
2 2009-01-28 26.0 SPY 87.4 0.0338 0.0397 0.0026 0.041 -0.357 -0.314 -0.238 GLD 87.4 -0.0109 0.0388
3 2009-01-29 26.1 SPY 84.6 -0.0325 0.0218 -0.0272 -0.0982 -0.373 -0.342 -0.254 GLD 89.5 0.0239 0.0582
4 2009-01-30 25.8 SPY 82.8 -0.0203 -0.0034 -0.069 -0.110 -0.397 -0.355 -0.270 GLD 91.3 0.0202 0.0314
5 2009-02-02 26.0 SPY 82.6 -0.003 -0.0131 -0.0849 -0.142 -0.408 -0.352 -0.272 GLD 88.8 -0.0271 -0.00120
6 2009-02-03 26 SPY 83.7 0.014 -0.00930 -0.0992 -0.135 -0.392 -0.348 -0.265 GLD 88.5 -0.0042 0.001
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
